An efficient semi-analytical simulation for the Heston model
Xianming Sun; Siqing Gan
| Year of publication: |
2014
|
|---|---|
| Authors: | Sun, Xianming ; Gan, Siqing |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 43.2014, 4, p. 433-445
|
| Subject: | Heston model | Mean-reverting square root process | Volatility process | Splitting technique | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010396258